StockFetcher Forums · View by Author: Kevin_in_GA (3,509 messages) ·  [ Display By: Date / Subject ]<< 1 2 3 4 5 ... 351 >> 
Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Kevin_in_GA
msg #124813
8/31/2015 11:46:21 AM

Yup - actually I am going to move entirely into cash, since the 3, 6, 9, and 12 month ROC for AGG are all negative. I think that bonds are no longer a real safe haven given the Fed's intent to raise interest rates at some point this year.

General Discussion · is there a way to get an email as soos as your filter qualifies a stock ?
Kevin_in_GA
msg #124784
8/28/2015 12:50:13 PM

I do not think that is possible. All emails are sent out in the evening after trading has closed.

Filter Exchange · OPTIONS STRATEGY - SELLING WEEKLY PUTS
Kevin_in_GA
msg #124678
8/18/2015 12:43:09 PM

There really is no SS code for this - it is all based on statistical probabilities, not really any code or filter. In truth this works 90% of the time for a decent gain but the 10% where it fails can erase a lot of successful weeks of gains. That is simply inherent in options trading.

I really have not focused on this system in a while - probably worth going back and looking at it, especially in range-bound markets like we have had recently.

General Discussion · Using a set variable
Kevin_in_GA
msg #124593
8/4/2015 3:39:47 PM

Why not just use the custom moving average() function?

Fetcher[
add column cma(high,14)
]



You make the same change, but directly into the cma() function rather than creating a new function (which usually does not work as you are beginning to notice).

Kevin

Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
Kevin_in_GA
msg #124582
8/3/2015 4:23:26 PM

I posted this at the start of this thread:

6/3/2011 3:09:04 PM

Kevin
I have been working with Stratasearch for the past week or so after reading one of your post referencing it. Appears to be a powerful program ! I am still in the learning phase.

How would you trade your SF code above? Exit ?
++++++++

The Zscore function I had to write as a custom function (not hard, as the SS coding language is not too complex). You can find it here:

http://www.stratasearch.com/forum/viewtopic.php?f=3&t=950&p=4243#p4243

The entry code is:

Zscore(16) < -2 and

close > mov(close,200,simple) and

wlr(16) < -94 and

close < bbl(close,16,2)

Exit code:

Zscore(16) > -1 or

$daysheld > 20

Kevin


General Discussion · Averaging over several days
Kevin_in_GA
msg #124575
8/2/2015 10:14:58 PM

Fetcher[
symlist(spy)
set{whatyouwant, cma(ATR(10),10)}
add column whatyouwant
]



Stock Picks and Trading · IT IS CRITICAL!!
Kevin_in_GA
msg #124565
7/31/2015 9:04:40 AM

Well, shorting TVIX is not a trading system built on SPY - what you are describing is using SPY signals to trade other (and highly leveraged) ETFs. That I have not looked at.

Stock Picks and Trading · IT IS CRITICAL!!
Kevin_in_GA
msg #124562
7/30/2015 8:13:50 PM

Others may think this is achievable, but I am convinced that it is not.

I have personally run over 2 million different brute force combinations of indicators on SPY and no result ever even got close to that annual return level. I do not believe that any combination, including combinations of long and short trades, can meet that goal over any reasonable time frame (say the last 10 years).

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Kevin_in_GA
msg #124557
7/29/2015 10:12:35 PM

Toad - no personal criticism intended. In the time I have been here at SF I have gone through multiple iterations of this basic idea (you can see them throughout this thread as evidence of that). I have gotten this idea as basic and simple to execute as possible, and tailored it for 401k investment vehicles.

My comment I think is valid - your back-testing is not based on the past three monthly bars, but rather the past 63 daily bars which is a different system and will generate different results depending on when you choose to make the trade. There is actually NO variability in the 3 monthly bar look back since monthly bars are the only data being used. The trade is made (or not) upon analyzing the last completed bar, which only happens at the end of each month. It simply is what it is and looking at different intra-month dates for trading is actually a different system than what I have put forth here.

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Kevin_in_GA
msg #124552
7/29/2015 10:39:10 AM

Again, you are likely to be overfitting for historical performance gains. Would you take a system based on daily bars and look at every hour to see if you could do a little better, or would you develop it based on hourly bars? The system is based on monthly data, not daily data.

Systems are built on completed bars - you can try weekly or daily with this approach (I have already done this) to see if it might better suit your needs. If your objective is highest gain with lowest drawdown you'll probably end up where the system currently resides.

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